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标题: Future on Treasuries v Forwards on Bonds [打印本页]

作者: lunarfollies 时间: 2011-7-13 16:24 标题: Future on Treasuries v Forwards on Bonds

There are 2 formulas
Forward on Bonds = [ Spot - PV (coupons) ] * (1+rf)^t

Futures on Treasuries = Spot (1 + rf)^ - Future value of coupons

One is using FV and other using PV, are they both same?

作者: bolligerallstar 时间: 2011-7-13 16:24

just did an example, turns out to be the same. wow.
my brain is really slow and is going to explode!!

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